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论文编号：	2398
作者编号：	2120082152
上传时间：	2010/6/9 18:51:49
中文题目：	中国上市公司股票流动性影响因素的实证研究
英文题目：	An Empirical Study on the Determinates of Stock Liquidity of China’s Listed Companies
指导老师：	黄福广
中文关键字：	股票流动性，不对称信息，代理问题
英文关键字：	Stock Liquidity, Asymmetric Information, Agency Problem
中文摘要：	股票流动性（Stock Liquidity），是指股票能够以较低的交易成本和较合理的交易价格迅速地换置成现金，而对股票价格产生较小影响的交易能力。股票流动性不仅受到市场因素影响，而且还受到公司因素影响。现实的股票市场并非有效市场，公司中充斥着大量的不对称信息和代理问题。本文通过对有效市场假设的释放，从不对称信息和代理问题两个角度进行理论分析并提出理论假设。第一，不对称信息影响股票流动性。公司经营中包含大量不对称信息，直接影响投资者对公司真实价值的评估，导致信息劣势方在交易中以未体现内在价值的交易价格成交。第二，代理问题的存在影响股票流动性。大股东能够轻易为自身谋求利益，他们进行内部交易引起公司股票价格不能体现真实价值，股票价格受到较大冲击。因此，为降低不对称信息和代理问题的影响，投资者在交易前最关注对其投资决策有重要影响且容易产生大量不对称信息和代理问题的公司因素。 本文对沪深上市公司2005-2009年5年相关数据对模型进行实证检验。选择非流动性比率ILLIQ作为描述股票流动性的指标，同时使用换手率进行稳定性检验。一方面，基于不对称信息角度，从资产质量、预期增长、财务稳健性角度研究；另一方面，基于存在代理问题角度，从内部人交易、机构投资者交易角度研究。并且，本文将流动性影响因素中的市场因素和其他公司因素引入模型中作为控制变量，包括交易量、价格波动、公司规模、流通比例、上市地点、资本结构。 研究结果表明：第一，基于不对称信息角度，公司的资产质量、预期增长影响股票流动性。资产质量与股票流动性显著正相关，预期增长与股票流动性显著负相关，与理论假设相同；解释变量为ILLIQ和TURNOVER时，财务稳健性与股票流动性均显著不相关。第二，基于存在代理问题角度，内部人交易与股票流动性显著负相关。其中，内部人交易与股票流动性显著负相关，与理论假设相同。而机构投资者交易，当被解释变量为ILLIQ时，变量机构投资者持股比例与股票流动性负相关，机构持股变化率与股票流动性不相关，通过使用TURNOVER进行稳健性检验时并未通过检验。
英文摘要：	Stock liquidity refers to the trading ability, converting shares into cash quickly at the lower transaction costs, more reasonable prices and lower price impacts. Stock liquidity can be affected not only by market factors, but also by corporate factors. Realistic stock market differs from efficient market, asymmetric information and agency problems exist in every corporation. Based on the releases of the efficient market hypothesis, this paper first gives theoretical analysis from asymmetric information and agency problem, then puts forward research hypothesis. Firstly, asymmetric information can affect liquidity. Because the large amounts of asymmetric information directly impact on evaluation of real value, information underdog trade with at transaction price, which don’t reflect the stock intrinsic value. Secondly, agency problems can affect liquidity. Large shareholders can easily strive for their interests. They trade with insiders so that stock prices don’t reflect the real value, stock prices are suffered from large impacts. Therefore, in order to reduce asymmetric information and agency problems, investors pay attention to corporate factors, which having important influence on investment decisions and easily generating asymmetric information and agency problems. Using the data during the period between 2005 and 2009 in Chinese Stock Markets, this paper gives an empirical test for the model. This paper measures stock liquidity by ILLIQ as well as run stability test by TURNOVER. On the one hand, this paper studies asset quality, expected future growth and financial robustness based on asymmetric information. On the other hand, this paper studies insider trading and institutional investor trading based on agency problem. Furthermore, this paper uses stock liquidity determinates from market factors and other corporate factors as independent variables, such as trading volume, price level, corporate size, outshare, stock exchange, capital structure. The results of the empirical tests suggest that: Firstly, based on asymmetric information, asset quality and expected future growth are correlated with stock liquidity. Asset quality is significantly positively related to stock liquidity, expected future growth is significantly negatively related to stock liquidity, which are supportive evidences of the theories in this paper. Moreover, financial robustness, ILLIQ as dependent variable, is not related to stocks liquidity while failed to pass the test when TURNOVER is dependent variable. Secondly, based on agency problem, insider trading is significant negatively related to stock liquidity, which is supportive evidence of the theories in this paper. However, institutional investor trading, ILLIQ as dependent variable, is negatively related to stock liquidity while failed to pass the test when TURNOVER is dependent variable.
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